feat: add runtime backtest verification (10 invariant checks in <1ms) + 489 tests + README docs

test/qlib/test_verify_runtime.py

@@ -0,0 +1,100 @@
+"""Tests for runtime backtest verification."""
+
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+import numpy as np
+import pytest
+
+PROJECT_ROOT = Path(__file__).parent.parent.parent
+sys.path.insert(0, str(PROJECT_ROOT))
+
+
+GOOD_RESULT = {
+    "sharpe": 1.5,
+    "max_drawdown": -0.15,
+    "win_rate": 0.55,
+    "total_return": 0.25,
+    "annual_return_pct": 15.0,
+    "monthly_return_pct": 1.2,
+    "n_trades": 50,
+    "status": "success",
+}
+
+
+class TestVerifyBacktestResult:
+    def test_good_result_passes(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        assert verify_backtest_result(GOOD_RESULT) == []
+
+    def test_missing_key_detected(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        bad = {**GOOD_RESULT}
+        del bad["sharpe"]
+        w = verify_backtest_result(bad)
+        assert len(w) > 0
+        assert any("Missing" in x for x in w)
+
+    def test_max_dd_out_of_bounds(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        for val in [-1.5, 0.5]:
+            bad = {**GOOD_RESULT, "max_drawdown": val}
+            assert len(verify_backtest_result(bad)) > 0
+
+    def test_win_rate_out_of_bounds(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        for val in [-0.1, 1.5]:
+            bad = {**GOOD_RESULT, "win_rate": val}
+            assert len(verify_backtest_result(bad)) > 0
+
+    def test_infinite_sharpe(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        bad = {**GOOD_RESULT, "sharpe": float("inf")}
+        assert len(verify_backtest_result(bad)) > 0
+
+    def test_nan_total_return(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        bad = {**GOOD_RESULT, "total_return": float("nan")}
+        assert len(verify_backtest_result(bad)) > 0
+
+    def test_negative_trades(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        bad = {**GOOD_RESULT, "n_trades": -5}
+        assert len(verify_backtest_result(bad)) > 0
+
+    def test_opposite_signs(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        bad = {**GOOD_RESULT, "sharpe": 2.0, "annual_return_pct": -10.0}
+        assert len(verify_backtest_result(bad)) > 0
+
+    def test_invalid_status(self):
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        bad = {**GOOD_RESULT, "status": "unknown"}
+        assert len(verify_backtest_result(bad)) > 0
+
+    def test_verify_and_log_returns_false_on_bad(self):
+        from rdagent.components.backtesting.verify import verify_and_log
+        assert verify_and_log({**GOOD_RESULT, "n_trades": -1}) is False
+
+    def test_verify_and_log_returns_true_on_good(self):
+        from rdagent.components.backtesting.verify import verify_and_log
+        assert verify_and_log(GOOD_RESULT) is True
+
+
+class TestRuntimeVerification:
+    """Verify that backtest_signal automatically calls the verifier."""
+
+    def test_backtest_signal_produces_verified_output(self):
+        from rdagent.components.backtesting.vbt_backtest import backtest_signal
+        import pandas as pd
+
+        dates = pd.date_range("2024-01-01", periods=500, freq="1min")
+        close = pd.Series(1.10 + np.random.default_rng(42).normal(0, 0.0001, 500).cumsum(), index=dates)
+        signal = pd.Series(np.where(np.random.default_rng(99).normal(0, 1, 500) > 0, 1.0, -1.0), index=dates)
+
+        result = backtest_signal(close, signal)
+        # All fields should pass verification
+        from rdagent.components.backtesting.verify import verify_backtest_result
+        assert verify_backtest_result(result) == []